Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
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Publication:1656799
DOI10.1016/j.jedc.2016.05.002zbMath1401.91154OpenAlexW2359697135MaRDI QIDQ1656799
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.05.002
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